The joke does not make sense. It's like 3 different jokes in one. He starts off with a knock knock classic and then goes into the pink panther joke which he completely messes up and tells like it's the chicken crossing the road joke, then the punch line makes no sense. It's funny because he mixed them all up.

I believe the pink panther joke goes: What did the Pink Panther say when he stepped on an ant. Answer: Dead Ant, Dead Ant, etc. (it is supposed to sound like the theme music to the Pink Panther movies.)